AMRESCO Residential Securities Corporation
Mortgage Loan Trust
Series 1996-4 Class A Certificates
AMRESCO 1996-4
---------------------------------------------
$[ 9,163,000] Class A-1 Fixed Rate Certificates - [6.030%]
$[ 22,400,000] Class A-2 Fixed Rate Certificates - [6.370%]
$[ 17,600,000] Class A-3 Fixed Rate Certificates - [6.850%]
$[ 10,670,000] Class A-4 Fixed Rate Certificates - [7.250%]
$[ 13,100,000] Class A-5 Fixed Rate Certificates - [7.600%]
$[238,146,000] Class A-6 Floating Rate Certificates - 1M LIBOR+ [0.31%]
The information herein has been provided solely by PSI based on information with
respect to the structuring assumptions provided by CS First Boston and mortgage
loans provided by AMRESCO Residential Securities Corporation and its affiliates
("AMRESCO"). Neither AMRESCO nor any of its affiliates makes any representation
as to the accuracy or completeness of the information herein. The information
herein is preliminary and will be superseded by the prospectus supplement and by
any other information subsequently filed with the Securities and Exchange
Commission (SEC). All assumptions and information in this report reflect PSI's
judgment as of this date and are subject to change. All analyses are based on
certain assumptions noted herein and different assumptions could yield
substantially different results. You are cautioned that there is no universally
accepted method for analyzing financial instruments. You should review the
assumptions; there may be differences between these assumptions and your actual
business practices. Further, PSI does not guarantee any results and there is no
guarantee as to the liquidity of the instruments involved in this analysis. The
decision to adopt any strategy remains your responsibility. PSI (or any of its
affiliates) or their officers, directors, analysts or employees may have
positions in securities, commodities or derivative instruments thereon referred
to here, and may, as principal or agent, buy or sell such securities,
commodities or derivative instruments. In addition, PSI may make a market in the
securities referred to herein. Neither the information nor the assumptions
reflected herein shall be construed to be, or constitute, an offer to sell or
buy or a solicitation of an offer to sell or buy any securities, commodities or
derivative instruments mentioned herein. No sale of any securities, commodities
or derivative instruments should be consumated without the purchaser first
having received a prospectus and, if required, prospectus supplement. Finally,
PSI has not addressed the legal, accounting and tax implications of the analysis
with respect to you, and PSI strongly urges you to seek advice from your
counsel, accountant and tax advisor.
AMRESCO Residential Securities Corporation
Mortgage Loan Trust
Series 1996-4 Class A Certificates
ALL CERTIFICATES
----------------
Title of Securities: AMRESCO Residential Securities Corporation Mortgage Loan
Trust 1996-4,
Group I: Class A-1 though Class A-5 (the "Fixed Rate
Certificates")
Group II: Class A-6 (the "Adjustable Rate Certificates")
Depositor: AMRESCO Residential Securities Corporation
Seller: AMRESCO Residential Mortgage Corporation
Servicers: - Long Beach Mortgage Company, Option One Mortgage Corp.
and Advanta Mortgage Corp. USA will each service a
portion of the underlying collateral for the Group I
Fixed Rate Certificates and Group II Adjustable Rate
Certificates.
Servicer Fee: 50 bps per annum
Trustee: Bankers Trust Company of California, N.A.
Pricing Date: August [16], 1996
Settlement Date: August [28], 1996
Principal Paydown: - All Group I principal pays the Group I Fixed Rate
Certificates (Classes A-1 through A-5) sequentially.
However, Class A-1 is a PAC bond and Class A-2 is a
companion bond. - All Group II principal is passed
through to Class A-6.
Flow of Funds: GROUP I AND GROUP II MONTHLY CASH FLOWS
1) to each Servicer, any unreimbursed advanced on a
mortgage loan which is determined by the respective
Servicer, in its good faith judgment, to not be
ultimately recoverable from either any future
collections on such mortgage loan or upon
liquidation;
2) to each Servicer, the Servicer Fee;
3) to the Certificate Insurer, the Premium;
4) to the Trustee, the Trustee Fee;
GROUP I MONTHLY CASH FLOWS
5) accrued monthly interest pro-rata to the Class A-1,
A-2, A-3, A-4 and A-5 Certificates;
6) Class A-1 to scheduled balance; Class A-2 until
retired; Class A-1 until retired; Sequentially to
A-3, A-4, and A-5;
7) to the Surety Provider, any unreimbursed draws;
8) to O/C up to its target amount as described below;
9) to Class A-6, if needed;
10) to Subordinated IO holder; and
11) to the Class R Certificate holders.
GROUP II MONTHLY CASH FLOWS
5) accrued monthly interest to the Class A-6
Certificates;
6) monthly principal to the Class A-6 Certificates;
7) to the Surety Provider, any unreimbursed draws;
8) to O/C up to its target amount as described below;
9) to Classes A-1, A-2, A-3, A-4 or A-5, if needed;
10) to Subordinated IO holder; and
11) to the Class R Certificate holders.
FOR A COMPLETE DESCRIPTION OF THE FLOW OF FUNDS, PLEASE REFER TO THE PROSPECTUS
SUPPLEMENT SECTION TITLED "DESCRIPTION OF THE CLASS A CERTIFICATES -
DISTRIBUTIONS"
Credit Enhancement: A combination of:
- Excess monthly cash flow
- Overcollateralization
- Cross-collateralization
- 100% wrap from MBIA guaranteeing timely interest and
ultimate principal.
Prepayment Speed: Prepayment speeds have been modelled using a ramp
from 5.0% CPR in month 1 to 20% CPR in month 12 and
thereafter; specifically, speeds will increase 1.364%
per month until month 12. Pricing Speed for the
transaction is 115% of the ramp.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
AMRESCO Residential Securities Corporation
Mortgage Loan Trust
Series 1996-4 Class A Certificates
ALL CERTIFICATES (cont.)
------------------------
Overcollateralization: The credit enhancement provisions of the Trust are
intended to provide for the limited acceleration of the
Certificates relative to the amortization of the related
collateral, generally in the early months of the
transaction. Accelerated amortization is achieved by
applying certain excess interest collected on the
collateral to the payment of principal on the
Certificates, resulting in the build up of
overcollateralization ("O/C"). By paying down the
principal balance of the certificates faster than the
principal amortization of the respective collateral pool,
an overcollateralization amount equal to the excess of
the aggregate principal balance of the Collateral Pool
over the principal balance of the related Certificates is
created. Excess cashflow will be directed to build the
O/C amount until the pool reaches its required O/C
target. Upon this event the acceleration feature will
cease, unless it is once again necessary to maintain the
required O/C level. Overcollateralization: Initial O/C:
Group I -- [0.0%] O/C Target: Group I -- [1.75%] Levels
(Approx.) Group II --[0.0%] Group II --[3.00%]
O/C Cushion (Adjustable): [.50%]
These O/C percentages are subject to step downs
beginning in month 30 if certain tests are met.
Certificate Insurer: MBIA
MBIA's claims-paying ability is rated AAA/Aaa/AAA by
Standard & Poor's, Moody's and Fitch.
Certificate Ratings: The Class A Certificates will be rated AAA by Standard &
Poor's, Aaa by Moody's Investors Service and AAA by Fitch
Investors Service
Clean-up Calls: The Residual Holder has the option to excercise a call
when the outstanding Certificate Balance equals 10% or
less of the original principal balance of the
Certificates. If such call is not exercised, the
Servicers will have the option to purchase the mortgage
loans when the outstanding Certificate Balance has
declined to 5% of original. Each call will be excercised
at par plus accrued interest.
ERISA Consideration: The Class A Certificates will be ERISA
eligible. However, investors should consult with their
counsel with respect to the consequences under ERISA
and the Internal Revenue Code of the Plan's acquisition
and ownership of such Certificates.
SMMEA Considerations: All Class A Certificates will be SMMEA eligible.
Taxation: REMIC.
Prospectus: The Certificates are being offered pursuant to a
Prospectus which includes a Prospectus Supplement
(together, the "Prospectus"). Complete information with
respect to the Certificates and the Collateral is
contained in the Prospectus. The foregoing is qualified
in its entirety by the information appearing in the
Prospectus. To the extent that the foregoing is
inconsistent with the Prospectus, the Prospectus shall
govern in all respects. Sales of the Certificates may
not be consumated unless the purchaser has received the
Prospectus.
Further Information: Call the desk at (212) 778-2741, Januar Laude at
(212)778-7176, Mike Cordry at (212)778-2840, Sean Low at
(212)778-2581 or Sam Ferrell at (212)778-4944 with any
questions.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
AMRESCO Residential Securities Corporation
Mortgage Loan Trust
Series 1996-4, Class A-1 through A-5 Certificates
- --------------------------------------------------------------------------------
GROUP I
CLASSES A-1 THROUGH A-5 FIXED RATE CERTIFICATES
Collateral: Group One: Fixed Rate, First Lien Mortgage Loans.
Approximate Group Size: [$72,933,000]
Class A-1 Class A-2 Class A-3 Class A-4 Class A-5
--------- --------- --------- --------- ---------
Approximate Face Amount: [$9,163,000] [$22,400,000] [$17,600,000] [$10,670,000] [$13,100,000]
Avg Life to 10% Call Date: [0.71] years [1.20] years [3.09] years [5.20] years [8.25] years
Avg. Life to Maturity (app.) [0.71] years [1.20] years [3.10] years [5.20] years [9.58] years
Pass-Through Rate: [6.03]% [6.37]% [6.85]% [7.25]% [7.60]% or [8.35]% after
the Clean-Up Call date
Price [99-20] [99-21+] [99-24] [99-31+] [99-29]
Spread: [50 bps] [62 bps] [75 bps] [94 bps] [117 bps]
Pricing Speed 115% of Ramp 115% of Ramp 115% of Ramp 115% of Ramp 115% of Ramp
Yield (CBE): [6.07]% [6.37]% [6.87]% [7.25]% [7.73]%
Day Count: 30/360 30/360 30/360 30/360 30/360
Expected Maturity: [12/25/97] [10/25/98] [11/25/00] [01/25/03] [12/25/14]
(at pricing speed)
PAC Bands: 10.0% CPR to 30.0% CPR (no ramp)
Pre-Funding Account: On the closing date, approximately [$8,000,000] will be
deposited in a pre-funding account for the purchase of
additional fixed rate mortgage loans. From the closing
date until [October] 20,1996, the Trust intends to
purchase mortgage loans up to the entire pre-funding
amounts. The additional mortgage loans, purchaed with
funds deposited in the prefunding account, will be
subject to certain individual and aggregate group
characteristics that will be more fully described in the
Prospectus Supplement.
Funds remaining in the pre-funding account will be
distributed sequentially to the Class A-1, A-2, A-3, A-4
and A-5 Certificateholders as prepayments based on the
cash flow priority on the [October], 1996 distribution
date.
Payment Date: The 25th day of each month or, if such day is not a
business day, the next succeeding business day,
beginning on [September 25], 1996.
Payment Delay: 24 days.
Coupon Step-Up: If the Cleanup Call is not exercised, the coupon on the
Class A-5 Certificates shall be [8.35%] per annum.
Interest Accrual
eriod: For Certificate Classes A-1 through A-5, interest will
accrue from the 1st day of the preceeding month until
the 30th day of the preceeding month.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
AMRESCO Residential Securities Corporation
Mortgage Loan Trust
Series 1996-4 Class A-6 Certificates
- --------------------------------------------------------------------------------
GROUP II
CLASS A-6 ADJUSTABLE RATE CERTIFCATES
Prepayment Assumption: 115% of Ramp
Approximate Face Amount: [$238,146,000]
Average Life to Call: [3.50] years
Interest Payment: actual/360
Price: 100-00
Pass-Through Rate: The lesser of:
1) One Month LIBOR + [31] bps
2) The Available Funds Cap
After the Clean-up Call, the lesser of:
1) One Month LIBOR + [62] bps
2) The Available Funds Cap
Available Funds Cap: A rate equal to the weighted average net
coupon rate (i.e., the weighted average coupon rate
less [1.130%] for servicing fees, trustee fees,
certificate insurer premiums and reserve strip) for the
Group II adjustable-rate mortgage loans for such
Payment Date.
Yield: Variable
Expected Maturity: [12/25/15] at pricing speed
Pre-Funding Account: On the closing date, approximately [$33,000,000] will
be deposited in a pre-funding account for the purchase
of additional adjustable rate mortgage loans. From the
closing date until [October] 20,1996, the Trust intends
to purchase mortgage loans up to the entire pre-funding
amounts. The additional mortgage loans, purchaed with
funds deposited in the prefunding account, will be
subject to certain individual and aggregate group
characteristics that will be more fully described in
the Prospectus Supplement.
Funds remaining in the pre-funding account will be
distributed to the Class A-6 Certificateholders as
prepayments on the [October], 1996 distribution date.
Coupon Step-Up: If the Cleanup Call is not exercised, the coupon on the
Class A-6 Certificates shall be raised to LIBOR + [62]
bps subject to the Available Funds Cap.
Payment Date: The 25th day of each month or, if such day is not a
business day, the next succeeding business day,
beginning on September 25, 1996.
Interest Accrual Period: Interest will accrue from the 25th day of the
preceeding month until the 24th day of the current
month (from Payment Date to Payment Date).
Interest and Payment
Adjusments: The interest rates and payments on the underlying
mortgage loans will generally adjust semi-annually.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
AMRESCO Residential Securities Corporation
Mortgage Loan Trust
Available Pool
Information LONG BEACH (ARMs Only) OPTION ONE (Fixed Only)
---------- ----------
Loans: 1759 Loans: 313
Balance: $177,826,732 Balance: $19,671,797
WAC: 9.94% WAC: 11.54%
WAM: 351 WAM: 327
WAGM: 6.05% WALTV: 67.61%
WALTV: 72.97%
Credit Grade: A- 46.11% Credit Grade: AA 11.61%
B+ 10.50% A 44.56%
B 10.70% B 25.45%
B- 12.01% C 10.93%
C 14.09% CC 7.45%
C- 6.59%
ADVANTA (Fixed) ADVANTA (ARMs)
---------- ----------
Loans: 515 Loans: 207
Balance: $45,261,747 Balance: $27,320,091
WAC: 10.26% WAC: 9.64%
WAM: 344 WAM: 358
WALTV: 67.35% WAGM: 7.02%
WALTV: 72.09%
Credit Grade: A+ 9.94% Credit Grade: A+ 16.36%
A 2.14% A 34.59%
A- 43.45% B 22.28%
B 30.21% C 16.60%
C 9.55% C- 8.51%
C- 1.58% D1 1.04%
D 2.80% D2 0.08%
D1 0.09% D3 0.55%
D2 0.12%
D3 0.13%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.